| Metric | SPY | PXTIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 14.81% | 36.28% |
| CAGR﹪ | 15.07% | 36.97% |
| Sharpe | 0.87 | 2.17 |
| Prob. Sharpe Ratio | 80.5% | 98.46% |
| Smart Sharpe | 0.86 | 1.96 |
| Sortino | 1.27 | 3.46 |
| Smart Sortino | 1.26 | 3.13 |
| Sortino/√2 | 0.9 | 2.45 |
| Smart Sortino/√2 | 0.89 | 2.22 |
| Omega | 1.21 | 1.48 |
| Max Drawdown | -8.88% | -6.3% |
| Max DD Date | 2026-03-30 | 2026-09-30 |
| Max DD Period Start | 2026-01-28 | 2026-09-04 |
| Max DD Period End | 2026-04-13 | 2026-10-21 |
| Longest DD Days | 76 | 58 |
| Volatility (ann.) | 12.91% | 13.23% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | 0.09 | 0.09 |
| Calmar | 1.7 | 5.87 |
| Skew | -0.03 | 0.06 |
| Kurtosis | 0.75 | 0.31 |
| Ulcer Performance Index | 6.86 | 16.98 |
| Risk-Adjusted Return | 15.07% | 37.72% |
| Risk-Return Ratio | 0.07 | 0.15 |
| Avg. Return | 0.05% | 0.13% |
| Avg. Win | 0.69% | 0.84% |
| Avg. Loss | -0.68% | -0.7% |
| Win/Loss Ratio | 1.01 | 1.19 |
| Profit Ratio | 0.99 | 0.91 |
| Expected Daily | 0.06% | 0.12% |
| Expected Monthly | 1.07% | 2.41% |
| Expected Yearly | 7.15% | 16.74% |
| Kelly Criterion | 5.35% | 17.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.24% |
| Expected Shortfall (cVaR) | -1.66% | -1.69% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.21 | 0.48 |
| Gain/Pain (1M) | 1.88 | 5.17 |
| Payoff Ratio | 1.01 | 1.19 |
| Profit Factor | 1.21 | 1.48 |
| Common Sense Ratio | 1.2 | 1.83 |
| CPC Index | 0.64 | 0.96 |
| Tail Ratio | 0.99 | 1.24 |
| Outlier Win Ratio | 2.84 | 2.89 |
| Outlier Loss Ratio | 2.98 | 3.2 |
| MTD | 1.47% | 0.33% |
| 3M | 1.46% | 4.77% |
| 6M | 6.94% | 16.41% |
| YTD | 13.33% | 31.84% |
| 1Y | 14.81% | 36.28% |
| 3Y (ann.) | 15.07% | 36.97% |
| 5Y (ann.) | 15.07% | 36.97% |
| 10Y (ann.) | 15.07% | 36.97% |
| All-time (ann.) | 15.07% | 36.97% |
| Best Day | 2.91% | 2.99% |
| Worst Day | -2.58% | -2.31% |
| Best Month | 10.51% | 6.97% |
| Worst Month | -4.94% | -4.44% |
| Best Year | 13.33% | 31.84% |
| Worst Year | 1.31% | 3.37% |
| Avg. Drawdown | -1.72% | -1.71% |
| Avg. Drawdown Days | 13 | 11 |
| Recovery Factor | 1.65 | 5.05 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.96 | 2.49 |
| Avg. Up Month | 2.84% | 3.51% |
| Avg. Down Month | -2.63% | -3.1% |
| Win Days | 52.42% | 54.96% |
| Win Month | 61.54% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.6 |
| Alpha | - | 0.23 |
| Correlation | - | 58.78% |
| Treynor Ratio | - | 60.24% |
| Year | SPY | PXTIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.31 | 3.37 | 2.57 | + |
| 2026 | 13.33 | 31.84 | 2.39 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-04 | 2026-10-21 | -6.30 | 48 |
| 2026-02-12 | 2026-04-10 | -6.29 | 58 |
| 2025-11-13 | 2025-11-24 | -4.29 | 12 |
| 2026-06-15 | 2026-07-13 | -3.67 | 29 |
| 2026-04-22 | 2026-05-13 | -2.74 | 22 |
| 2025-12-12 | 2026-01-05 | -2.59 | 25 |
| 2026-01-16 | 2026-01-30 | -2.46 | 15 |
| 2026-06-05 | 2026-06-11 | -2.19 | 7 |
| 2026-10-23 | 2026-11-04 | -1.95 | 13 |
| 2026-08-05 | 2026-08-11 | -1.45 | 7 |